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Volatility up small in spite of continued equity rally

Jan 16, 2019

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels

Options Market Commentary

Stocks are modestly stronger this afternoon on the back of strong earnings from Goldman Sachs (+8%) and Bank of America (+7.5%). Currently, the S&P is +.36%, the Russell +.65%, and the Nasdaq +.10%. Despite equities being in the green, Bonds are communicating a bit of caution as yields are slightly lower (TLT +.22%) and the 10-year down to 2.724%. As mentioned earlier, Financials are leading the market today thanks to a beat on earnings while Energy is underperforming today (USO -.5%) as WTI Crude is softer (-.4%). Volatilities are mixed with the VIX +0.5% to 18.609, VXN +1.1% to 23.92, and RVX +2% at 21.73.

 

ETF 30D Volatility Changes

SPY:    -1%         

IWM:   FLAT        

QQQ:  -1%       

Directional Options Strategies

Bullish Option Strategies

GPRO Seller 10,770 Jan 5 puts (closing, ref. 4.97)

UNIT Buyer 3,000 Feb 20 calls (ref. 18.97)

GE Seller 20,000 Mar 9 puts tied to stock (ref. 8.81)

APA Seller 42,160 Mar 1st 32.5 puts to Buy 42,160 Mar 1st 32.5 calls (ref. 32.12)

SM Seller 3,700 Feb 17.5 puts to Buy 3,700 Feb 22.5 calls (ref. 19.98)

BDSI Buyer 3,100 Feb 4 calls (ref. 4.23)

 

Bearish Option Strategies

BAC Seller 14,000 Mar 30 calls (ref. 28.41)

PPG Buyer 2,500 Jan 98 – 83 put spreads (Earnings 1/17, ref. 102.49)

PCG Buyer 4,861 Jan20 3 puts (ref. 6.54)

GE Buyer 20,000 Jun 7 – 5 put spreads (possibly closing, ref. 8.91)

TYME Buyer 2,400 Jan 2.5 puts (ref. 3.48)

 

Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable

Macro Options Strategies

Bullish Option Strategies

XLF Buyer 10,000 Feb 26 calls (ref. 25.15)

HYG Seller 15,000 Feb 82 puts (ref. 84.13)

XLI Seller 7,000 Mar 60 puts to Buy 7,000 Mar 66 – 69 call spreads (ref. 1.42)

 

Bearish Option Strategies

EEM Seller 104,120 Mar 38.5 puts (ref. 41.09)

SPY Buyer 35,000 Mar 29th 250 – 240 put spreads (ref. 261.25)

SPY Buyer 11,169 Sep 180 puts (ref. 261.19)

SPY Buyer 10,800 Feb 8th 255 – 245 put spreads (ref. 261.45)

IWM Seller 23,452 Feb 1st 146.5 calls (ref. 144.22)

IEF Buyer 25,000 Feb 103 puts tied to stock (ref. 103.93)

XLF Buyer 31,400 Jun 29 puts to Sell 44,300 Jun 25 puts (possibly closing or rolls short puts, ref. 25.40)

XLF Buyer 70,000 Jan21 24 puts (ref. 25.44)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

BAC 36,000 Jan – Mar 29 Jelly Rolls trade (ref. 28.36)

EFA 15,000 Jan 60 RevCons trade (ref. 61.23)

QCOM 8,900 Jan – Mar 60 Jelly Rolls trade (ref. 55.90)

CRM 4,000 Jan – Mar 150 Jelly Rolls trade (ref. 148.61

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AA 1/16/2019 6.4 6.0 6.3% D 28,574
CSX 1/16/2019 4.8 4.3 11.5% A 31,430
KMI 1/16/2019 2.2 2.0 12.2% C 30,329
AXP 1/17/2019 3.6 3.4 4.5% C 78,668
BBT 1/17/2019 2.6 2.3 11.8% C 14,043
FAST 1/17/2019 6.1 5.9 3.2% C 10,472
KEY 1/17/2019 3.3 2.8 16.2% C 10,612
MS 1/17/2019 3.9 2.3 69.2% D 153,328
MTG 1/17/2019 5.1 3.8 31.9% C 3,505
NFLX 1/17/2019 7.4 7.5 -1.5% D 3,805,587
OZK 1/17/2019 10.3 26.8 -61.7% F 3,886
PPG 1/17/2019 4.5 2.0 124.1% C 15,317
CFG 1/18/2019 4.4 2.2 100.9% C 1,418
FHN 1/18/2019 4.2 1.8 136.3% C 2,451
KSU 1/18/2019 3.3 2.3 43.1% B 5,339
RF 1/18/2019 3.8 2.1 80.9% C 7,485
SLB 1/18/2019 3.2 1.2 166.9% D 187,115
STI 1/18/2019 2.9 1.6 80.8% D 8,250
STT 1/18/2019 5.8 4.8 22.1% D 14,465
VFC 1/18/2019 6.6 5.4 21.8% B 10,318
AMTD 1/22/2019 2.7 2.5 6.6% B 8,782
ATI 1/22/2019 6.8 8.2 -16.4% C 2,711
COF 1/22/2019 3.3 2.5 30.7% C 17,276
FITB 1/22/2019 3.7 2.5 45.7% D 3,600
GATX 1/22/2019 6.9 4.1 66.0% C 1,482
HAL 1/22/2019 4.7 3.7 29.6% D 101,792
IBKR 1/22/2019 4.2 2.2 92.2% D 8,537
IBM 1/22/2019 4.5 5.2 -13.7% A 227,590
JNJ 1/22/2019 2.4 2.6 -8.4% B 288,072
PETS 1/22/2019 9.5 10.9 -12.7% D 1,803
STLD 1/22/2019 5.9 2.7 122.1% C 4,457
SWK 1/22/2019 4.6 3.2 45.2% C 22,522
TRV 1/22/2019 2.1 2.7 -21.0% C 6,268
WYNN 1/22/2019 3.7 7.0 -46.7% D 247,227
ZION 1/22/2019 4.2 2.1 103.4% C 9,514
ABT 1/23/2019 1.0 1.9 -49.3% C 61,955
CCI 1/23/2019 2.1 1.5 44.1% B 17,442
CMCSA 1/23/2019 3.2 2.6 21.2% B 158,701
CTXS 1/23/2019 5.2 2.7 90.7% A 10,100
F 1/23/2019 4.8 4.3 11.0% C 78,727
FFIV 1/23/2019 5.4 4.6 18.0% A 7,834
KMB 1/23/2019 2.4 1.8 36.8% C 18,467
LRCX 1/23/2019 4.4 3.8 17.8% C 96,637
LVS 1/23/2019 3.5 3.2 11.5% D 58,114
NTRS 1/23/2019 3.6 3.5 3.9% C 1,509
PG 1/23/2019 2.9 3.4 -16.4% B 120,064
PGR 1/23/2019 4.6 2.5 83.6% B 10,893
PTC 1/23/2019 5.2 3.9 33.4% D 3,680
TER 1/23/2019 6.6 7.1 -6.3% B 3,098
TXN 1/23/2019 3.7 3.8 -1.4% A 106,896
URI 1/23/2019 5.9 6.0 -1.3% C 60,438
UTX 1/23/2019 2.8 1.8 53.7% B 52,710
VAR 1/23/2019 4.2 5.5 -23.2% C 3,396
XLNX 1/23/2019 6.4 6.0 6.5% B 17,178
AAL 1/24/2019 3.9 4.5 -13.5% C 172,324
ALK 1/24/2019 3.8 5.3 -28.1% F 13,764
DFS 1/24/2019 3.6 3.3 7.2% B 9,982
ETFC 1/24/2019 3.6 2.1 74.2% C 11,339
FCX 1/24/2019 5.7 6.2 -7.6% D 52,404
GWW 1/24/2019 8.2 9.6 -14.5% C 24,480
INTC 1/24/2019 4.3 4.5 -5.2% B 341,254
ISRG 1/24/2019 1.7 4.1 -57.8% C 139,574
JBLU 1/24/2019 5.6 3.9 43.5% C 3,505
LUV 1/24/2019 4.7 5.5 -13.5% B 20,097
MKC 1/24/2019 4.4 3.6 22.5% A 8,290
NSC 1/24/2019 3.5 3.5 -0.3% B 50,205
RCL 1/24/2019 4.0 4.4 -8.7% D 48,267
RMD 1/24/2019 4.8 6.6 -27.8% A 2,620
SBUX 1/24/2019 3.7 4.1 -10.3% B 180,507
SIVB 1/24/2019 8.0 7.3 9.9% C 10,804
TXT 1/24/2019 6.9 4.3 59.8% C 12,212
UNP 1/24/2019 1.1 3.2 -65.3% B 122,446
WDC 1/24/2019 7.8 7.6 3.2% D 81,722

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CNDT 70.31% D -2.89% 92.06 1,834
ELAN 68.99% D 1.38% 81.43 2,360
IMMR 68.64% D 3.32% 37.70 1,902
MDCO 68.44% F -3.92% 74.21 7,497
EVRI 62.37% C -8.75% 78.97 553
ICPT 62.37% F -2.43% 100.00 16,949
ZAYO 62.26% C -0.51% 90.87 23,193
ADT 57.37% A -0.45% 96.71 200
ADTN 54.99% D -2.53% 90.87 1,032
MHK 54.25% C -0.95% 90.87 9,860
SRCL 52.15% F -0.34% 75.79 1,364
BHF 50.64% F 2.03% 85.71 4,169
HAIN 50.53% F 1.57% 92.06 2,577
ISBC 49.34% D -4.57% 75.40 1,467
PZZA 4.92E-01 F -1.53% 61.90 2,062
CDK 48.92% B -4.49% 82.94 865
EAF 47.23% A -11.42% 85.71 993
CASA 44.87% C -0.62% 13.10 122
FDP 44.11% C -2.61% 94.05 1,498
XRAY 42.40% C -3.65% 74.60 3,410
AOBC 42.33% C -2.14% 35.32 1,163
WEN 42.18% C -0.12% 26.98 714
OC 41.23% D 1.62% 89.29 4,599
BZH 39.50% D 0.31% 84.92 1,403

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DNB -73.03% B -2.89% 23.81 2,034
QEP -62.92% F 1.38% 0.00 9,553
M -58.06% B 3.32% 65.87 113,253
VHC -57.73% D -3.92% 86.11 1,744
FDC -57.48% C -8.75% 88.10 8,126
MB -56.19% C -2.43% 2.38 872
IDTI -53.76% C -0.51% 14.29 1,385
CELG -53.32% C -0.45% 6.75 700,801
OZK -52.29% F -2.53% 92.06 3,886
MTN -51.26% A -0.95% 90.87 15,258
USG -51.08% C -0.34% 13.49 1,201
PCG -50.23% B 2.03% 98.81 130,579
ARNC -47.14% F 1.57% 0.40 40,512
TLRD -44.78% B -1.83% 39.29 881
SAGE -43.88% F -4.57% 74.50 41,493
GT -42.90% F -1.53% 86.90 10,266
NEM -41.39% D -4.49% 89.29 68,027
MDB -38.05% D -11.42% 72.22 26,852
FOSL -36.41% C -0.62% 70.63 2,016
SNAP -33.58% D -2.61% 63.10 30,519
EW -33.44% A -3.65% 81.75 38,718
UNP -32.17% B -2.14% 67.86 122,446
WELL -31.21% C -0.12% 52.78 3,895
YRCW -29.10% A 1.62% 96.43 460

 

Options
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